
Multistage stochastic linear programs model problems in financial planning, dynamic traffic assignment, economic policy analysis, and many other applications. Equivalent representations of such problems as deterministic linear programs are, however, excessively large. This paper develops decomposition and partitioning methods for solving these problems and reports on computational results on a set of practical test problems.
Large-scale problems in mathematical programming, Numerical mathematical programming methods, multistage stochastic linear program, piecewise linear partitioning, Stochastic programming, deterministic equivalent, fixed recourse, large scale programs, computational results, outer linearization decomposition
Large-scale problems in mathematical programming, Numerical mathematical programming methods, multistage stochastic linear program, piecewise linear partitioning, Stochastic programming, deterministic equivalent, fixed recourse, large scale programs, computational results, outer linearization decomposition
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